Hi,
You can change the wgx extension and use another extension by adding to the WebGUI configuration section the following definition:
<Extension Value=".asmx"/>
and to change the httpHandler registration to that extension instead of .wgx. Keep in mind that VWG takes full control over that extension so you will not be able to use it to something else. .NET comes with several extensions that you can use such as asmx,ashx,aspx and more.
Thanks,
Guy